Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0519 |
| Annualized Std Dev | 0.3004 |
| Annualized Sharpe (Rf=0%) | -0.1729 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4526.0000 |
| NAs | 1.0000 |
| Minimum | -0.3071 |
| Quartile 1 | -0.0052 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0062 |
| Maximum | 0.4262 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0004 |
| Stdev | 0.0189 |
| Skewness | 0.6861 |
| Kurtosis | 90.0453 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0138 |
| Gain Deviation | 0.0154 |
| Loss Deviation | 0.0175 |
| Downside Deviation (MAR=210%) | 0.0177 |
| Downside Deviation (Rf=0%) | 0.0138 |
| Downside Deviation (0%) | 0.0138 |
| Maximum Drawdown | 0.8483 |
| Historical VaR (95%) | -0.0230 |
| Historical ES (95%) | -0.0451 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-12-28 | 2020-03-18 | NA | -0.8483 | 4086 | 3832 | NA |
| 2004-02-11 | 2004-05-10 | 2004-12-21 | -0.1704 | 218 | 62 | 156 |
| 2003-06-11 | 2003-08-04 | 2003-10-14 | -0.0838 | 88 | 38 | 50 |
| 2004-01-21 | 2004-01-27 | 2004-02-10 | -0.0381 | 15 | 5 | 10 |
| 2003-11-11 | 2003-11-21 | 2003-12-02 | -0.0322 | 15 | 9 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | 0 | -0.1 | 0.1 | 0.9 | 0 | 0.9 | 0.2 | -0.9 | 0.1 | -0.3 | 0.9 |
| 2004 | 1.3 | 2.3 | 0.7 | -0.3 | -0.5 | -0.3 | 0.7 | 0.2 | 0.7 | 0.2 | 0.1 | -1.9 | 3.3 |
| 2005 | 0.9 | 0.3 | -0.2 | -0.8 | -0.1 | 1.3 | 0.3 | -0.1 | 0.3 | -0.2 | 0.2 | -0.7 | 1.2 |
| 2006 | 1 | -0.1 | -0.3 | 0.6 | 2.1 | 0.1 | 0.3 | 0.6 | 0.8 | -0.6 | 0.2 | 0 | 4.6 |
| 2007 | 0 | 0 | -0.3 | 0.2 | 0.2 | 1.1 | -2 | 1 | -0.1 | -1.1 | 3.4 | -0.7 | 1.6 |
| 2008 | 1.4 | -3.7 | 3.1 | 0.8 | -0.2 | 0.6 | 1.1 | 1.2 | 3 | 0 | -10.6 | 5.5 | 1.3 |
| 2009 | -3.2 | -5.8 | 2.8 | 6.6 | 2.6 | 3.2 | 4.7 | -0.4 | -2.7 | -3.4 | 1.4 | 0.4 | 5.6 |
| 2010 | 3.2 | 1.9 | -0.2 | 1.2 | 1 | -1.6 | 0.4 | 2.1 | 0.1 | 0.6 | 0.6 | 1.4 | 11.1 |
| 2011 | 0 | -0.5 | 1 | -0.1 | 0 | 1.1 | 3.4 | 0.7 | -1.5 | -1.1 | 1.8 | 0.1 | 4.9 |
| 2012 | 1.1 | 0.6 | 0.8 | 0.8 | -1.3 | 1.1 | 0.9 | 0.8 | 0 | 1.6 | -0.2 | 1.9 | 8.4 |
| 2013 | 0.5 | 0.2 | 0 | 0.8 | -0.2 | 0.4 | 0.1 | 0.5 | 1 | 0 | 0.4 | 0 | 3.9 |
| 2014 | -0.5 | 0.8 | 0.5 | 0.6 | -0.7 | 0.3 | -1.9 | 0.3 | 1.6 | 0.6 | 0 | 3.5 | 5.1 |
| 2015 | -0.3 | 1.1 | -0.8 | 0.1 | 1.5 | 2.3 | 0.7 | 0.6 | -0.7 | 0.6 | 1.5 | 3 | 10 |
| 2016 | 0.8 | 3 | -0.2 | 0.3 | 0.8 | 0.5 | 0.9 | 0 | -0.4 | -0.9 | -0.2 | 0 | 4.7 |
| 2017 | -0.2 | 0.3 | 0.6 | 0.1 | 0.7 | 0.4 | 0.4 | 0.1 | 0 | -0.1 | 0.7 | 0.4 | 3.6 |
| 2018 | 0 | -1 | 1.1 | 0.4 | 0.7 | 0.9 | 0.3 | 0.1 | 0.6 | 1.4 | -0.3 | 0.4 | 4.7 |
| 2019 | 0.3 | 0.8 | 1.1 | 1 | -0.7 | 0.7 | 0 | -0.2 | -0.4 | 1.2 | 0 | 0.9 | 4.9 |
| 2020 | -0.8 | -5.2 | -10.4 | -2.8 | 2.3 | 0.7 | 2 | 1.4 | 1.3 | -1.9 | -0.2 | 1.1 | -12.6 |
| 2021 | 1.9 | 2.8 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
